Theory of Asset Pricing

Abstract

PART I SINGLE-PERIOD PORTFOLIO CHOICE AND ASSET PRICING Chapter 1 Expected Utility and Risk Aversion 1.1 Preferences When Returns Are Uncertain 1.2 Risk Aversion and Risk Premia 1.3 Risk Aversion and Portfolio Choice Chapter 2 Mean-Variance Analysis 2.1 Assumptions on Preferences and Asset Returns 2.2 Investor Indifference Relations 2.3 The Efficient Frontier 2.4 The Efficient Frontier with a Riskless Asset 2.5 An Application to Cross-Hedging Chapter 3 CAPM, Arbitrage, and Linear Factor Models 3.1 The Capital Asset Pricing Model 3.2 Arbitrage 3.3 Linear Factor Models Chapter 4 Consumption-Savings Decisions and State Pricing 4.1 Consumption and Portfolio Choices 4.2 An Asset Pricing Interpretation 4.3 Market Completeness, Arbitrage, and State Pricing PART II MULTIPERIOD CONSUMPTION, PORTFOLIO CHOICE, AND ASSET PRICING Chapter 5 A Multiperiod Discrete Time Model of Consumption and Portfolio Choice 5.1 Assumptions and Notation of the Model 5.2 Solving the Multiperiod Model 5.3 Example Using Log Utility Chapter 6 Multiperiod Market Equilibrium 6.1 Asset Pricing in the Multiperiod Model 6.2 The Lucas Model of Asset Pricing 6.3 Rational Asset Price Bubbles PART III CONTINGENT CLAIMS PRICING Chapter 7 Basics of Derivative Pricing 7.1 Forward and Option Contracts 7.2 Binomial Option 7.3 Binomial Model Applications Chapter 8 Essentials of Diffusion Processes and Ito's Lemma 8.1 Pure Brownian Motion 8.2 Diffusion Processes 8.3 Functions of Continuous-Time Processes and Ito's Lemma Chapter 9 Dynamic Hedging and PDE Valuation 9.1 Black-Scholes Option Pricing 9.2 An Equilibrium Term Structure Model 9.3 Option Pricing with Random Interest Rates Chapter 10 Arbitrage, Martingales, and Pricing Kernels 10.1 Arbitrage and Martingales 10.2 Arbitrage and Pricing Kernels 10.3 Alternative Price Deflators 10.4 Applications Chapter 11 Mixing Diffusion and Jump Processes 11.1 Modeling Jumps in Continuous Time 11.2 Ito's Lemma for Jump-Diffusion Processes 11.3 Valuing Contingent Claims PART IV ASSET PRICING IN CONTINUOUS TIME Chapter 12 Continuous-Time Consumption and Portfolio Choice 12.1 Model Assumptions 12.2 Continuous-Time Dynamic Programming 12.3 Solving the Continuous-Time Problem 12.4 The Martingale Approach to Consumption and Portfolio Choice Chapter 13 Equilibrium Asset Returns 13.1 An Intertemporal Capital Asset Pricing Model 13.2 Breeden's Consumption CAPM 13.3 A Cox, Ingersoll, and Ross Production Economy Chapter 14 Time-Inseparable Utility 14.1 Constantinides' Internal Habit Model 14.2 Campbell and Cochrane's External Habit Model 14.3 Recursive Utility PART V ADDITIONAL TOPICS IN ASSET PRICING Chapter 15 Behavioral Finance and Asset Pricing 15.1 The Effects of Psychological Biases on Asset Prices 15.2 The Impact of Irrational Traders on Asset Prices Chapter 16 Asset Pricing with Differential Information 16.1 Equilibrium with Private Information 16.2 Asymmetric Information, Trading, and Markets Chapter 17 Models of the Term Structure of Interest Rates 17.1 Equilibrium Term Structure Models 17.2 Valuation Models for Interest Rate Derivatives Chapter 18 Models of Default Risk 18.1 The Structural Approach 18.2 The Reduced-Form Approach

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